It depends on how the radiators are controlled. Does your apartment have baseboard electric radiators with independent temperature controls in each bedroom, or do you have a central boiler (steam radiator) or furnace (forced hot air) that is controlled by one thermostat somewhere towards the center of the house?
If you have individual controls, you'll want to keep your bedroom door closed so that the temperature in that space is better regulated per the setting for that room. If you have one central thermostat, you'll want to keep bedroom doors open so that the entire living space is at an equal temperature.
You can close off doors - and the radiators within - rooms that are not used (guest rooms, e.g.) so that you are not heating those spaces. With central heating, you'll likely find that some rooms/radiators run hotter than others due to distances from the central heating source, poorly placed radiators in some rooms (e.g. under a drafty window) or the location of the central thermostat. You can adjust the flow to each radiator at the source to tune the heat going to each room.